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unkpath
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Posts: 289
Joined: January 13th, 2004, 8:44 pm

stochastic vol lmm

February 5th, 2011, 4:10 pm

hi, Has anybody come across some publicly available stochastic vol lmm code of any variety? Or published as part of a book maybe? Anything would be good, even bits and pieces.I know that for classic models like Black, Heston, many things are available out there.Thanks, nkpth
 
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pcaspers
Posts: 698
Joined: June 6th, 2005, 9:49 am

stochastic vol lmm

February 5th, 2011, 5:39 pm

yes. Quantlib.
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